Find the black-scholes value of the american call option, Corporate Finance

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Find the black-scholes value of the american call option

Problem

XYZ Corp. will pay a $2 per share dividend in two months. Its stock price currently is $76 per share. A European call option on XYZ has an exercise price of $68 and 3-month time to expiration. The risk-free interest rate is 0.8% per month, and the stock's volatility (standard deviation) = 16% per month. Find the Black-Scholes value of the American call option.

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Corporate Finance: Find the black-scholes value of the american call option

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